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Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - 2009
Persistent link: https://www.econbiz.de/10003883608
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Sir Clive Granger' s contributions to nonlinear time series and econometrics
Teräsvirta, Timo - 2017
Persistent link: https://www.econbiz.de/10011624071
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Identification and estimation of heterogeneous agent models : a likelihood approach
Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2017
Persistent link: https://www.econbiz.de/10011750340
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Estimation of heterogeneous agent models : a likelihood approach
Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2020
Persistent link: https://www.econbiz.de/10012317765
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A no arbitrage fractional cointegration analysis of the range based volatility
Rossi, Eduardo; Santucci de Magistris, Paolo - 2009
Persistent link: https://www.econbiz.de/10003863181
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On IGARCH and convergence of the QMLE for misspecified GARCH models
Tolver Jensen, Anders; Lange, Theis - 2009
Persistent link: https://www.econbiz.de/10003849498
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Quadratic variation by Markov chains
Hansen, Peter Reinhard; Horel, Guillaume - 2009
Persistent link: https://www.econbiz.de/10003849527
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Least squares inference on integrated volatility and the relationship between efficient prices and noise
Nolte, Ingmar; Voev, Valeri - 2009
Persistent link: https://www.econbiz.de/10003849539
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A meta-distribution for non-stationary samples
Guégan, Dominique - 2009
Persistent link: https://www.econbiz.de/10003849558
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Realised quantile-based estimation of the integrated variance
Christensen, Kim; Oomen, Roel; Podolskij, Mark - 2009
Persistent link: https://www.econbiz.de/10003849570